Relevant bibliographies by topics / Interest rate risk / Dissertations / Theses
To see the other types of publications on this topic, follow the link: Interest rate risk.

Dissertations / Theses on the topic 'Interest rate risk'

Author: Grafiati
Published: 4 June 2021
Last updated: 25 July 2025

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles

Select a source type:

Consult the top 50 dissertations / theses for your research on the topic 'Interest rate risk.'

Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.

You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.

Browse dissertations / theses on a wide variety of disciplines and organise your bibliography correctly.

1

Jackson, Alexander. "Interest rate and credit risk modelling." Thesis, University of Oxford, 2004. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.400043.

Full text
APA, Harvard, Vancouver, ISO, and other styles
2

Zagonov, Maxim. "Financial intermediation and interest rate risk." Thesis, City University London, 2011. http://openaccess.city.ac.uk/1189/.

Full text
Abstract:
This thesis analyses the link between interest rate risk faced by financial intermediaries in the G-10 countries, their balance sheet composition and national bank regulation. The regulatory authorities both in the US and in Europe increasingly emphasise the issue of bank interest rate exposure. The importance of this topic is also reasserted by recent developments in the monetary environment. The thesis offers three major contributions to the area. First, it empirically investigates the interest rate risk exposure of financial intermediaries across a large international data sample over the 1
APA, Harvard, Vancouver, ISO, and other styles
3

Kladívko, Kamil. "Interest Rate Modeling." Doctoral thesis, Vysoká škola ekonomická v Praze, 2005. http://www.nusl.cz/ntk/nusl-96400.

Full text
Abstract:
I study, develop and implement selected interest rate models. I begin with a simple categorization of interest rate models and with an explanation why interest rate models are useful. I explain and discuss the notion of arbitrage. I use Oldrich Vasicek's seminal model (Vasicek; 1977) to develop the idea of no-arbitrage term structure modeling. I introduce both the partial di erential equation and the risk-neutral approach to zero-coupon bond pricing. I briefly comment on affine term structure models, a general equilibrium term structure model, and HJM framework. I present the Czech Treasury yi
APA, Harvard, Vancouver, ISO, and other styles
4

Iqbal, Adam Saeed. "Dynamic interest rate and credit risk models." Thesis, Imperial College London, 2011. http://hdl.handle.net/10044/1/6851.

Full text
Abstract:
This thesis studies the pricing of Treasury bonds, the pricing of corporate bonds and the modelling of portfolios of defaultable debt. By drawing on the related literature, Chapter 1 provides economic background and motivation for the study of each of these topics. Chapter 2 studies the use of Gaussian affine dynamic term structure models (GDTSMs) for forming forecasts of Treasury yields and conditional decompositions of the yield curve into expectation and risk premium components. Specifically, it proposes market prices of risk that can generate bond price time series that are consistent with
APA, Harvard, Vancouver, ISO, and other styles
5

Dozzi, Anna <1993&gt. "Prosper: Interest Rate and Credit Risk Analysis." Master's Degree Thesis, Università Ca' Foscari Venezia, 2019. http://hdl.handle.net/10579/14422.

Full text
Abstract:
The technological development of recent years has allowed a revolution in the financial sector with the introduction of new financing methods including Peer to Peer Lending. In this study it will be discussed the business model of Prosper, which is a Peer to Peer Lending platform that aims to facilitate the connection between borrowers and creditors by implementing the disintermediation process. To get a general idea of the theme that will be discussed later, the most discussed topics in recent literature regarding P2P platforms have been reported. In particular, it will be analysed the topics
APA, Harvard, Vancouver, ISO, and other styles
6

Chui, Hiu-fai Sam. "Evaluation of measures taken by financial institutes under the interest rate swing caused by the currency attack /." Hong Kong : University of Hong Kong, 1998. http://sunzi.lib.hku.hk/hkuto/record.jsp?B19882117.

Full text
APA, Harvard, Vancouver, ISO, and other styles
7

Berg, Simon, and Victor Elfström. "IRRBB in a Low Interest Rate Environment." Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-273589.

Full text
Abstract:
Financial institutions are exposed to several different types of risk. One of the risks that can have a significant impact is the interest rate risk in the bank book (IRRBB). In 2018, the European Banking Authority (EBA) released a regulation on IRRBB to ensure that institutions make adequate risk calculations. This article proposes an IRRBB model that follows EBA's regulations. Among other things, this framework contains a deterministic stress test of the risk-free yield curve, in addition to this, two different types of stochastic stress tests of the yield curve were made. The results show t
APA, Harvard, Vancouver, ISO, and other styles
8

Hegre, Håvard. "Interest rate modeling with applications to counterparty risk." Thesis, Norwegian University of Science and Technology, Department of Mathematical Sciences, 2006. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-9470.

Full text
Abstract:
<p>This thesis studies the estimation of credit exposure arising from a portfolio of interest rate derivatives. The estimation is performed using a Monte Carlo simulation. The results are compared to the exposure obtained under the current exposure method provided by the Bank for International Settlements (BIS). We show that the simulation method provides a much richer set of information for credit risk managers. Also, depending on the current exposure and the nature of the transactions, the BIS method can fail to account for potential exposure. All test portfolios benefit significantly from a
APA, Harvard, Vancouver, ISO, and other styles
9

Nguyen, Hai Nam. "Contributions to credit risk and interest rate modeling." Thesis, Evry-Val d'Essonne, 2014. http://www.theses.fr/2013EVRY0038.

Full text
Abstract:
Cette thèse traite de plusieurs sujets en mathématiques financières: risque de crédit, optimisation de portefeuille et modélisation des taux d’intérêts. Le chapitre 1 consiste en trois études dans le domaine du risque de crédit. La plus innovante est la première dans laquel nous construisons un modèle tel que la propriété d’immersion n’est vérifiée sous aucune mesure martingale équivalente. Le chapitre 2 étudie le problème de maximisation de la somme d’une utilité de la richesse terminale et d’une utilité de la consommation. Le chapitre 3 étudie l’évaluation des produits dérivés de taux d’inté
APA, Harvard, Vancouver, ISO, and other styles
10

Klaassen, Pieter. "Stochastic programming models for interest-rate risk management." Thesis, Massachusetts Institute of Technology, 1994. http://hdl.handle.net/1721.1/11913.

Full text
APA, Harvard, Vancouver, ISO, and other styles
11

Lu, Yang, and Kevin Visvanathar. "Demand Deposits : Valuation and Interest Rate Risk Management." Thesis, KTH, Entreprenörskap och Innovation, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-169463.

Full text
Abstract:
In the aftermath of the financial crisis of 2008, regulatory authorities have implemented stricter policies to ensure more prudent risk management practices among banks. Despite the growing importance of demand deposits for banks, no policies for how to adequately account for the inherent interest rate risk have been introduced. Demand deposits are associated with two sources of uncertainties which make it difficult to assess its risks using standardized models: they lack a predetermined maturity and the deposit rate may be changed at the bank’s discretion. In light of this gap, this study aim
APA, Harvard, Vancouver, ISO, and other styles
12

Staikouras, Sotiris K. "Interest rate volatility and the risk of financial institutions." Thesis, City University London, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.287410.

Full text
APA, Harvard, Vancouver, ISO, and other styles
13

Marten, Elena Renee. "Interest rate risk in UK defined benefit pension schemes." Master's thesis, Instituto Superior de Economia e Gestão, 2019. http://hdl.handle.net/10400.5/19721.

Full text
Abstract:
Mestrado em Actuarial Science<br>Desde a crise financeira de 2008, fundos de pensões começaram a reconhecer, mais do que nunca, a necessidade de se protegerem contra o risco da taxa de juro. Este risco é o mais significativo e volátil para os fundos de pensões pois uma mudança nas condições do mercado pode ter um grande impacto tanto nos ativos como nos passivos do fundo, afetando o seu nível de financiamento. Estratégias de remoção do risco são críticas à luz dos planos de benefícios definidos (BD) estarem cada vez mais insustentáveis. Fundos de pensões estão a considerar várias estratégias d
APA, Harvard, Vancouver, ISO, and other styles
14

Brodin, Therese, and Frida Harrysson. "Interest rate swap eller inte? : En studie om de största svenska företagens användning av interest rate swaps." Thesis, Södertörns högskola, Institutionen för samhällsvetenskaper, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-27845.

Full text
Abstract:
Syfte: Syftet är att undersöka svenska storföretags användande av derivatet ränteswap (svensk benämning för interest rate swap) för år 2012 och 2013 samt att undersöka skillnader utifrån tidigare funna bakomliggande faktorer mellan företag som använder olika typer av ränteswaps och företag som inte använder ränteswap. Metod: Studien tillämpade en empirisk totalundersökning gällande de icke-finansiella företagen noterade på Nasdaq OMX Stockholm Large Cap för slutet på år 2012 respektive år 2013. Utifrån företagens årsredovisningar kategoriserades företagen i fyra grupper baserat på företagets a
APA, Harvard, Vancouver, ISO, and other styles
15

Xie, Yan Alice Wu Chunchi. "Immunization of interest rate risk and pricing of default risk of bond portfolios." Related Electronic Resource: Current Research at SU : database of SU dissertations, recent titles available full text, 2003. http://wwwlib.umi.com/cr/syr/main.

Full text
APA, Harvard, Vancouver, ISO, and other styles
16

Ruprecht, Benedikt [Verfasser], and Marco [Akademischer Betreuer] Wilkens. "Banks' Interest Rate Risk: Pricing and Risk Management / Benedikt Ruprecht. Betreuer: Marco Wilkens." Augsburg : Universität Augsburg, 2013. http://d-nb.info/1077703104/34.

Full text
APA, Harvard, Vancouver, ISO, and other styles
17

Liu, Cheng. "Utility-based Futures Contract Pricing under Stochastic Interest Rate, Appreciation Rate and Dividend Yield." University of Cincinnati / OhioLINK, 2010. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1283524846.

Full text
APA, Harvard, Vancouver, ISO, and other styles
18

Williamson, Gareth Alan. "Interest rate risk management : a case study of GBS Mutual Bank." Thesis, Rhodes University, 2008. http://eprints.ru.ac.za/1585/.

Full text
APA, Harvard, Vancouver, ISO, and other styles
19

Bussel, Petrus Johannes Michaël van. "Valuation and interest rate risk of mortgages in the Netherlands." Maastricht : Maastricht : Universiteit Maastricht ; University Library, Maastricht University [Host], 1998. http://arno.unimaas.nl/show.cgi?fid=6060.

Full text
APA, Harvard, Vancouver, ISO, and other styles
20

Kang, Zhuang. "Illiquid Derivative Pricing and Equity Valuation under Interest Rate Risk." University of Cincinnati / OhioLINK, 2010. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1282168157.

Full text
APA, Harvard, Vancouver, ISO, and other styles
21

Liu, Guanting. "P2P LENDING MARKET: DETERMINANTS OF INTEREST RATE AND DEFAULT RISK." Thesis, Mälardalens högskola, Akademin för ekonomi, samhälle och teknik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-44052.

Full text
Abstract:
The peer to peer (p2p) lending industry has grown fast in recent years. This study put an eye on the credit evaluation system of one of the p2p platform named lending club. The author used the empirical method and discussed the determinants of the interest rate and the default risk in the p2p lending market. The author concluded that the evaluation system founded by lending club could predict the risk of loans. Collecting more information about borrowers’ credit history may increase the accuracy of the model.
APA, Harvard, Vancouver, ISO, and other styles
22

Daccache, Rudy. "Interest Rate and Liquidity Risk Management for Lebanese Commercial Banks." Thesis, Lyon 1, 2014. http://www.theses.fr/2014LYO10100/document.

Full text
Abstract:
L'objectif de cette thèse est de fournir à la Banque Audi des outils économétriques et appliqués pour une gestion des risques plus efficace et plus robuste. Les banques libanaises sont aujourd'hui confrontées à des défis plus importants que jamais: l'avenir de la région Moyen-Orient repose sur les conséquences de la guerre civile syrienne. Dans ce contexte, la gestion des taux d'intérêt et de la liquidité s'avère de plus en plus compliqué pour les banques commerciales. En premier lieu, le risque de taux d'intérêt sur le marché libanais sera étudié. Ce marché est connu pour son manque de liquid
APA, Harvard, Vancouver, ISO, and other styles
23

Murase, Takeo. "Interest Rate Risk – Using Benchmark Shifts in a Multi Hierarchy Paradigm." Thesis, KTH, Matematisk statistik, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-129293.

Full text
Abstract:
This master thesis investigates the generic benchmark approach to measuring interest rate risk. First the background and market situation is described followed by an outline of the concept and meaning of measuring interest rate risk with generic benchmarks. Finally a single yield curve in an arbitrary currency is analyzed in the cases where linear interpolation and cubic interpolation technique is utilized. It is shown that in the single yield curve setting with linear interpolation or cubic interpolation the problem of finding interest rate scenarios can be formulated as convex optimization p
APA, Harvard, Vancouver, ISO, and other styles
24

Yueh, Meng-Lan. "Numerical lattice methods for implementing interest rate and credit risk models." Thesis, University of Warwick, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.252479.

Full text
APA, Harvard, Vancouver, ISO, and other styles
25

Gyllenberg, Felix, and Åström Leonard Rudolf. "INTEREST RATE RISK : A comparative study aimed at finding the most crucial shift in interest rate curves for a life insurance company." Thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-160248.

Full text
Abstract:
Risk management is applied in many financial institutions under regulatory supervision. Life insurance companies face many challenges to ensure policy holders of future payouts. The inverted balance sheet of life insurance companies imply that the policy holder pay premiums in advance to the insurance company to later receive payouts at the age of retirement. This means a great responsibility for the life insurance company to be able to meet future liabilities. Due to this, one of the largest risks facing a life insurance company is the interest rate risk. Future liabilities depend on the inte
APA, Harvard, Vancouver, ISO, and other styles
26

Slinko, Irina. "Essays in option pricing and interest rate models." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögskolan i Stockholm] (EFI), 2006. http://www2.hhs.se/EFI/summary/706.htm.

Full text
APA, Harvard, Vancouver, ISO, and other styles
27

Abiola, Isaac Abiodun. "Modeling credit risk spread and interest rate volatility in the Eurodollar market." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1997. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp04/nq25214.pdf.

Full text
APA, Harvard, Vancouver, ISO, and other styles
28

Davis, Caleb M. "U.S. Monetary Policy and Emerging Market Interest Rate Spreads: Explaining the Risk." Scholarship @ Claremont, 2011. http://scholarship.claremont.edu/cmc_theses/294.

Full text
Abstract:
This paper will attempt to explain fluctuations in emerging market interest rate spreads by examining the implied federal funds effective rates that are derived from federal funds interest rate futures contracts. It will focus on comparing the individual relationships between four widely-used measures of U.S. monetary policy and emerging market interest rate spreads to determine which is the most powerful. The four measures of U.S. monetary policy are as follows: the yield on the U.S. 10-year Treasury, federal funds effective rate, federal funds target rate, and the implied rate from one-month
APA, Harvard, Vancouver, ISO, and other styles
29

MACHADO, SERGIO JURANDYR. "INTEREST RATE RISK MANAGEMENT IN PENSION FUNDS: IMMUNIZATION S LIMITS AND POSSIBILITIES." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2006. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=9155@1.

Full text
Abstract:
PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO<br>O termo imunização denota a construção de uma carteira de títulos de forma a torná-la imune a variações nas taxas de juros. No caso das entidades de previdência complementar, o objetivo da imunização é distribuir os recebimentos intermediários e finais dos ativos de acordo com o fluxo de pagamentos dos benefícios. Em geral, quanto maior a classe de alterações na estrutura a termo das taxas de juros (ETTJ), mais restritivo se torna o modelo. Embora exista uma vasta literatura sobre o aspecto estatístico e sobre o significado econô
APA, Harvard, Vancouver, ISO, and other styles
30

Howard, Scott T. "Optimal Interest Rate for a Borrower with Estimated Default and Prepayment Risk." Diss., CLICK HERE for online access, 2008. http://contentdm.lib.byu.edu/ETD/image/etd2400.pdf.

Full text
APA, Harvard, Vancouver, ISO, and other styles
31

Pansera, Jérôme. "Local risk minimization, consistent interest-rate modeling, and applications to life insurance." Diss., University of Iowa, 2008. https://ir.uiowa.edu/etd/15.

Full text
Abstract:
This thesis studies local risk minimization, consistent interest-rate modeling, and their applications to life insurance. Part I considers local risk minimization, which is one possible approach to price and hedge claims in incomplete markets. In this first part, our two main results are Propositions 3.6 and 4.3: they provide an easy way to compute locally risk-minimizing hedging strategies for common life-insurance products in discrete time and in continuous time, respectively. Part II considers consistent interest-rate modeling; that is, interest-rate models i
APA, Harvard, Vancouver, ISO, and other styles
32

GAMBARO, ANNA MARIA. "Interest rate and credit risk models applied to finance and actuarial science." Doctoral thesis, Università degli Studi di Milano-Bicocca, 2017. http://hdl.handle.net/10281/158366.

Full text
Abstract:
La prima parte della lavoro di tesi propone dei nuovi limiti per il prezzo di swaptions europee per modelli affini e quadratici di tasso di interesse. Questi limiti sono calcolabili per tutti i modelli la cui funzione caratteristica congiunta è nota. In particolare, il nostro limite inferiore richiede il calcolo di una transformata di Fourier unidimensionale indipendentemente dalla numero di date di pagamento del contratto swap sottostante. Inoltre, possiamo controllare l'erroe del nostro metodo fornendo un limite superiore al prezzo della swaption che è applicabile a tutti i modelli considera
APA, Harvard, Vancouver, ISO, and other styles
33

Henningsson, Peter, and Christina Skoglund. "A framework for modeling the liquidity and interest rate risk of demand deposits." Thesis, KTH, Matematisk statistik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-187478.

Full text
Abstract:
The objective of this report is to carry out a pre-study and develop a framework for how the liquidity and interest rate risk of a bank's demand deposits can be modeled. This is done by first calibrating a Vasicek short rate model and then deriving models for the bank's deposit volume and deposit rate using multiple regression. The volume model and the deposit rate model are used to determine the liquidity and interest rate risk, which is done separately. The liquidity risk is determined by a liquidity quantile which estimates the minimum deposit volume that is expected to remain in the bank o
APA, Harvard, Vancouver, ISO, and other styles
34

Hambouri, Zaphiro. "Risk and asset/liability management of fixed income portfolios." Thesis, Imperial College London, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.312022.

Full text
APA, Harvard, Vancouver, ISO, and other styles
35

Kierulf, Kaja. "Evaluating Different Simulation-Based Estimates for Value and Risk in Interest Rate Portfolios." Thesis, Norwegian University of Science and Technology, Department of Mathematical Sciences, 2010. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-10823.

Full text
Abstract:
<p>This thesis evaluates risk measures for interest rate portfolios. First a model for interest rates is established: the LIBOR market model. The model is applied to Norwegian and international interest rate data and used to calculate the value of the portfolio by using Monte Carlo simulation. Estimation of volatility and correlation is discussed as well as the two risk measures value at risk and expected tail loss. The data used is analysed before the results of the backtesting evaluating the two risk measures are presented.</p>
APA, Harvard, Vancouver, ISO, and other styles
36

Port, Henry Alvorado [Verfasser], and Stefan [Akademischer Betreuer] Mittnik. "Advances in interest rate & risk modeling / Henry Alvorado Port ; Betreuer: Stefan Mittnik." München : Universitätsbibliothek der Ludwig-Maximilians-Universität, 2020. http://d-nb.info/1218466847/34.

Full text
APA, Harvard, Vancouver, ISO, and other styles
37

Cheney, David L. "Can Duration -- Interest Rate Risk -- and Convexity Explain the Fractional Price Change and Market Risk of Equities?" DigitalCommons@USU, 1993. https://digitalcommons.usu.edu/etd/3844.

Full text
Abstract:
In the last two decades, duration analysis has been largely applied to fixed - income securities . However, since rising and falling interest rates have been determined to be a major cause of stock price movements, equity duration has received a great deal of attention. The duration of an equity is a measure of its interest rate risk. Duration is the sensitivity of the price of an equity with respect to the interest rate. Convexity is the sensitivity of duration with respect to the interest rate. The analysis revealed that the fractional price change and market risk of equities can be explaine
APA, Harvard, Vancouver, ISO, and other styles
38

Thomas, Michael Patrick. "Long term extrapolation and hedging of the South African yield curve." Diss., Pretoria : [s.n.], 2009. http://upetd.up.ac.za/thesis/available/etd-06172009-085254.

Full text
APA, Harvard, Vancouver, ISO, and other styles
39

譚丹琪. "Hedging interest rate risk with interest rate futures." Thesis, 1992. http://ndltd.ncl.edu.tw/handle/44141351315523049026.

Full text
APA, Harvard, Vancouver, ISO, and other styles
40

Hou, Yuanfeng. "Essays on credit risk, interest rate risk and macroeconomic risk /." 2003. http://www.gbv.de/dms/zbw/558224261.pdf.

Full text
APA, Harvard, Vancouver, ISO, and other styles
41

Lin, Kun-San, and 林昆三. "Bank interest rate and liquidity risk management." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/69244232996948162300.

Full text
Abstract:
碩士<br>國立臺灣大學<br>財務金融學研究所<br>94<br>The interest rate and liquidity risk management of the bank is very important element in the Asset Liability Management (ALM). With the deregulation and internationalization of financial environment and the greater price competition among financial industry, bank interest rate spread is compressed and the profit is decreased. Therefore, it becomes even more important for banks to manage interest rate risk and the liquidity risk to maintain on adequate level of liquidity and to protect its net interest income from being influenced by fluctuation of interest rat
APA, Harvard, Vancouver, ISO, and other styles
42

Caldeira, Miguel costa. "Interest rate risk model in banking book." Master's thesis, 2019. http://hdl.handle.net/10362/72924.

Full text
Abstract:
The aim of this project is to create an interest rate model for Banco CTT’s Banking Book capable to meet the upcoming regulatory requirements as well as internal demands driven by recent portfolio expansion and expectations of future interest rate normalization after a long period marked by a negative interest rate environment. Upon the results obtained, it is clear that Bank’s exposure to interest rate risk is stable and within the limits defined by regulatory authorities. However, veracity of the model should be continuously assessed, and structural balance sheet adjustments should be perfor
APA, Harvard, Vancouver, ISO, and other styles
43

Akhtaruzzaman, Md. "Interest rate risk of Australian financial firms." Thesis, 2013. http://hdl.handle.net/1959.13/1037246.

Full text
Abstract:
Research Doctorate - Doctor of Philosophy (PhD)<br>The Australian financial system has undergone major regulatory changes during the 1970s and 1980s. The most notable deregulatory measures include the removal of interest rate ceilings on bank deposits and loans, the liberalization of foreign bank entry restrictions, and the introduction of a floating exchange rate system, among others. These deregulatory measures have increased competitive pressure on financial firms from both home and abroad and reduced net interest margin, making financial firms more vulnerable to interest rate changes. The
APA, Harvard, Vancouver, ISO, and other styles
44

Hsieh, Shu-Ting, and 謝書婷. "The Interaction between Interest Rate Risk and Credit Risk of Adjustable Rate Mortgage." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/79045195276392263089.

Full text
Abstract:
碩士<br>國立臺灣大學<br>財務金融學研究所<br>97<br>The article uses a bivariate pricing lattice to observe different interest rates and housing prices. Then we use loan-to-value ratio and payment-to-income ratio to set the default conditions. And the probabilities of default are then calculated. We have sensitivity tests that describe the changes of the probabilities of default due to the changes of different variables including initial interest rate, mean-reverting speed, volatility of interest rate, cash service flow, volatility of house price and correlation coefficient between interest rate and housing pri
APA, Harvard, Vancouver, ISO, and other styles
45

凃宗旻. "Pricing convertible bonds with credit risk and interest rate risk." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/45694385753897459325.

Full text
APA, Harvard, Vancouver, ISO, and other styles
46

Tai, Hui-Hsin, and 戴慧欣. "Joint Model Calibration of Market Risk, Credit Risk and Interest Rate Risk." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/13753958457382874192.

Full text
APA, Harvard, Vancouver, ISO, and other styles
47

Chung, Jui-shiung, and 鍾瑞雄. "Interest Rate and Bank Foreign Exchange Risk-taking." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/68509236274222042622.

Full text
Abstract:
碩士<br>國立臺灣科技大學<br>財務金融研究所<br>102<br>After financial crisis, whole world enter a low interest-rate environment. And the spread between depositing rate and lending rate which is on behalf of bank profit decreases. This paper tries to know that how do banks react in Taiwan under this situation. Will they take more foreign exchange risk to pursue profit? Based on above motivation, this paper uses approximately 200 quarterly observations on 27 banks in Taiwan over the period 2007.09-2013.06 and attempts to provide empirical research on the relation between interest rate and foreign exchange risk. W
APA, Harvard, Vancouver, ISO, and other styles
48

Teichert, Max. "The interest rate risk of banks: current topics." Doctoral thesis, 2018. https://doi.org/10.25972/WUP-978-3-95826-071-9.

Full text
Abstract:
Die vorliegende Dissertation beschäftigt sich mit dem Zinsänderungsrisiko von Banken. Sie bearbeitet Themen mit hoher aktueller Relevanz angesichts gegenwärtiger Entwicklungen in der Geldpolitik, der Volkswirtschaftslehre und der Bankenregulierung. Im ersten Teil werden vier Grundlagen gelegt. Erstens wird die moderne Auffassung des Bankgeschäfts vorgestellt, der nach Banken Geld in Form von Ersparnissen schaffen, wenn sie Kredite gewähren. Mit dieser Auffassung gehört die Übernahme von Zinsänderungsrisiken zum normalen Bankgeschäft. Zweitens wird ein Überblick über die Mikroökonomie des Bankg
APA, Harvard, Vancouver, ISO, and other styles
49

Santos, Maria Manuela Pinto. "Hedging a bank´s interest rate risk with interest rate swaps accouting treatment and auditing procedures." Master's thesis, 2018. http://hdl.handle.net/10362/49555.

Full text
Abstract:
Interest rate risk is one of the most crucial types of risk that banks face as financial intermediaries. This risk can be hedged using traditional methods, like duration matching, or using derivatives such as interest rate swaps, so that banks face less interest rate uncertainty. Hedging with derivatives also has implications for the accounting part. In the light of the IFRS 9, as the new prevailing accounting regime in Europe, this thesis presents the hedge accounting treatment by banks, highlighting the auditor responsibilities in the context of these instruments
APA, Harvard, Vancouver, ISO, and other styles
50

LIN, YI-CHING, and 林怡菁. "A Study on the Interest Rate Risk of the Interest Sensitive Annuity." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/nxbx64.

Full text
Abstract:
碩士<br>朝陽科技大學<br>保險金融管理系碩士班<br>93<br>The life insurance company to the equal sensitive of the market interest rate, the Interest Sensitive Annuity Insurance in recent two years of best-selling reduce the connection with the market interest rate. The Interest Sensitive Annuity property and the bank Certificate of Deposit to connect near, pass by it to declared interest rate is along with bank of two years the periodical savings deposit interest rate to float, the most high can add 1.5 ﹪, lowest can reduce 1﹪. At present the market interest rate will go up gradually, the regulator worries the Int
APA, Harvard, Vancouver, ISO, and other styles
You might also be interested in the bibliographies on the topic 'Interest rate risk' for other source types:
Journal articles Books
We offer discounts on all premium plans for authors whose works are included in thematic literature selections. Contact us to get a unique promo code!

To the bibliography